Search Results - subject:"Equal Risk Contribution"

Improved iterative methods for solving risk parity portfolio

Choi, Jaehyuk; Chen, Rong - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 114-124

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation …

Persistent link: https://www.econbiz.de/10013202393

Using deep reinforcement learning with hierarchical risk parity for portfolio optimization

Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16

(HRP) and Hierarchical Equal Risk Contribution (HERC) models with different hyperparameters, which all run in parallel, off …, representing low-level agents. For the low-level agents, we use a set of Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk … Contribution (HERC) models with different hyperparameters, which all run in parallel, off-market (in a simulation). The information …

Persistent link: https://www.econbiz.de/10013545887

Dynamic risk-based optimization on cryptocurrencies

Nugroho, Bayu Adi - In: Journal of capital markets studies 5 (2021) 1, pp. 28-48

volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC …

Persistent link: https://www.econbiz.de/10012624870

Dynamic risk-based optimization on cryptocurrencies

Nugroho, Bayu Adi - In: Journal of Capital Markets Studies (JCMS) 5 (2021) 1, pp. 28-48

volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC …

Persistent link: https://www.econbiz.de/10015327880

The best-fitting model(s) of equal risk contribution : evidence from environmental-friendly portfolio

Nugroho, Bayu Adi - In: International journal of managerial finance : IJMF 18 (2022) 4, pp. 756-782

Persistent link: https://www.econbiz.de/10013365213

Machine learning portfolios with equal risk contributions : evidence from the Brazilian market

Rubesam, Alexandre - In: Emerging markets review 51 (2022) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10013418822

Reduction of estimation error impact in the risk parity strategiesv

Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364

Persistent link: https://www.econbiz.de/10012608651

Introducing global term structure in a risk parity framework

Stagnol, Lauren - 2017

Persistent link: https://www.econbiz.de/10011738994

The risk parity principle applied on a corporate bond index using Duration Times Spread

Stagnol, Lauren - 2016

Persistent link: https://www.econbiz.de/10011737204

Conditional risk-based portfolio

Caillé, Olessia; Onori, Daria - In: Finance : revue de l'Association Française de Finance 40 (2019) 2, pp. 77-117

Persistent link: https://www.econbiz.de/10012114366